Modine Manufacturing (Germany) Market Value
| MMF Stock | EUR 121.70 1.15 0.94% |
| Symbol | Modine |
Modine Manufacturing 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Modine Manufacturing's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Modine Manufacturing.
| 07/20/2023 |
| 12/11/2024 |
If you would invest 0.00 in Modine Manufacturing on July 20, 2023 and sell it all today you would earn a total of 0.00 from holding Modine Manufacturing or generate 0.0% return on investment in Modine Manufacturing over 510 days. Modine Manufacturing is related to or competes with HOCHSCHILD MINING, Summit Materials, BRIT AMER, Hochschild Mining, Materialise, GOODYEAR T, and Scientific Games. Modine Manufacturing Company provides engineered heat transfer systems and heat transfer components for use in on- and o... More
Modine Manufacturing Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Modine Manufacturing's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Modine Manufacturing upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.5 | |||
| Information Ratio | 0.1123 | |||
| Maximum Drawdown | 18.18 | |||
| Value At Risk | (5.63) | |||
| Potential Upside | 6.95 |
Modine Manufacturing Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Modine Manufacturing's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Modine Manufacturing's standard deviation. In reality, there are many statistical measures that can use Modine Manufacturing historical prices to predict the future Modine Manufacturing's volatility.| Risk Adjusted Performance | 0.1127 | |||
| Jensen Alpha | 0.3822 | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | 0.1232 | |||
| Treynor Ratio | 0.3824 |
Modine Manufacturing Backtested Returns
Modine Manufacturing appears to be very steady, given 3 months investment horizon. Modine Manufacturing has Sharpe Ratio of 0.11, which conveys that the firm had a 0.11% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Modine Manufacturing, which you can use to evaluate the volatility of the firm. Please exercise Modine Manufacturing's Downside Deviation of 3.5, mean deviation of 2.85, and Risk Adjusted Performance of 0.1127 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Modine Manufacturing holds a performance score of 8. The company secures a Beta (Market Risk) of 1.43, which conveys a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Modine Manufacturing will likely underperform. Please check Modine Manufacturing's coefficient of variation, jensen alpha, and the relationship between the downside deviation and information ratio , to make a quick decision on whether Modine Manufacturing's current price movements will revert.
Auto-correlation | 0.83 |
Very good predictability
Modine Manufacturing has very good predictability. Overlapping area represents the amount of predictability between Modine Manufacturing time series from 20th of July 2023 to 31st of March 2024 and 31st of March 2024 to 11th of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Modine Manufacturing price movement. The serial correlation of 0.83 indicates that around 83.0% of current Modine Manufacturing price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.83 | |
| Spearman Rank Test | 0.81 | |
| Residual Average | 0.0 | |
| Price Variance | 215.5 |
Modine Manufacturing lagged returns against current returns
Autocorrelation, which is Modine Manufacturing stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Modine Manufacturing's stock expected returns. We can calculate the autocorrelation of Modine Manufacturing returns to help us make a trade decision. For example, suppose you find that Modine Manufacturing has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Modine Manufacturing regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Modine Manufacturing stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Modine Manufacturing stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Modine Manufacturing stock over time.
Current vs Lagged Prices |
| Timeline |
Modine Manufacturing Lagged Returns
When evaluating Modine Manufacturing's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Modine Manufacturing stock have on its future price. Modine Manufacturing autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Modine Manufacturing autocorrelation shows the relationship between Modine Manufacturing stock current value and its past values and can show if there is a momentum factor associated with investing in Modine Manufacturing.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Additional Information and Resources on Investing in Modine Stock
When determining whether Modine Manufacturing is a strong investment it is important to analyze Modine Manufacturing's competitive position within its industry, examining market share, product or service uniqueness, and competitive advantages. Beyond financials and market position, potential investors should also consider broader economic conditions, industry trends, and any regulatory or geopolitical factors that may impact Modine Manufacturing's future performance. For an informed investment choice regarding Modine Stock, refer to the following important reports:Check out Modine Manufacturing Correlation, Modine Manufacturing Volatility and Modine Manufacturing Alpha and Beta module to complement your research on Modine Manufacturing. For more detail on how to invest in Modine Stock please use our How to Invest in Modine Manufacturing guide.You can also try the Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
Modine Manufacturing technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.